Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0061 |
| Annualized Std Dev | 0.2386 |
| Annualized Sharpe (Rf=0%) | 0.0257 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4296.0000 |
| NAs | 1.0000 |
| Minimum | -0.2415 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1543 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -1.1305 |
| Kurtosis | 38.5662 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0112 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.7551 |
| Historical VaR (95%) | -0.0178 |
| Historical ES (95%) | -0.0367 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0174 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-10 | 2009-03-09 | 2013-05-08 | -0.7551 | 1510 | 461 | 1049 |
| 2019-10-01 | 2020-03-23 | NA | -0.5759 | 371 | 120 | NA |
| 2017-06-02 | 2018-12-24 | 2019-09-04 | -0.2583 | 568 | 394 | 174 |
| 2004-03-11 | 2004-05-10 | 2006-12-06 | -0.2124 | 692 | 42 | 650 |
| 2013-05-22 | 2013-10-08 | 2014-10-27 | -0.1989 | 362 | 97 | 265 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0 | 0.2 | 0.6 | 0 | 3.2 | 1.1 | 1.5 | 0.6 | 1.1 | 1.1 | 0.6 | 10.3 |
| 2005 | 1.1 | 0.8 | 1.1 | 1 | 0.6 | 0.9 | -0.1 | 0.8 | 0.5 | -0.6 | 0.5 | -0.4 | 6.2 |
| 2006 | -0.2 | 0.3 | -0.1 | 0 | 1 | -0.1 | 0.2 | 0.2 | -0.2 | 0.5 | 0.3 | 0 | 2 |
| 2007 | 0 | -0.3 | 0.3 | -0.2 | 0.1 | 0.1 | 0.1 | 1.2 | 1.3 | -1.7 | 1 | 0.7 | 2.7 |
| 2008 | 1.4 | -2.7 | 3.1 | 2 | -0.4 | 0.3 | 3.3 | -0.2 | 5.4 | 5.2 | -3 | 3.2 | 18.6 |
| 2009 | -0.8 | -3.9 | 4.9 | 1.7 | 2.8 | 1.8 | 2.8 | -1.3 | -2.2 | -4.6 | 1.1 | 0.1 | 1.9 |
| 2010 | 1.8 | -0.1 | 1 | -1.5 | -0.3 | 0.2 | 0.6 | 2 | 1.5 | 0.9 | 1.5 | 0.3 | 8 |
| 2011 | 0.8 | -0.4 | 0.9 | 0.3 | -1 | 0.9 | 0.9 | 1.3 | -1 | -2.5 | 2.9 | -0.2 | 2.9 |
| 2012 | 1.4 | 0.4 | 0 | 1.6 | -0.8 | 1.1 | -0.1 | 0.1 | -0.2 | 1 | 0.7 | 1.4 | 6.8 |
| 2013 | 0.5 | 0.4 | 0.4 | 0.8 | -2.9 | 0.9 | 0.6 | 0.1 | 0.4 | 0.5 | -0.2 | 0.2 | 1.7 |
| 2014 | 0.8 | 0.5 | 0.1 | 0 | 0.2 | 0 | -0.7 | 0.3 | -0.3 | 0.7 | -0.7 | 0.2 | 1.1 |
| 2015 | -1.6 | 0.7 | -0.5 | -0.1 | -0.5 | 0.2 | 1 | -1.2 | -0.7 | 0.5 | 0.4 | -1.5 | -3.2 |
| 2016 | 0.8 | 2.4 | 0.3 | 1 | 2.8 | 0.9 | -1.7 | 1 | 0.7 | -0.8 | -1.3 | 1.2 | 7.3 |
| 2017 | -0.6 | 0 | 0 | -1.3 | 0.5 | 0.5 | -0.2 | 1.2 | 0.4 | 1 | 1 | 0.4 | 2.8 |
| 2018 | -0.9 | -0.1 | 0.5 | 0.2 | 0.3 | 0.8 | -0.1 | -0.4 | -0.3 | 0.6 | 0.5 | 1.5 | 2.6 |
| 2019 | 1 | 0.5 | 0.6 | 0.2 | -2.2 | 0.2 | 1.2 | 0.7 | -0.5 | -0.1 | 0 | 1 | 2.5 |
| 2020 | -0.1 | -4.9 | -8 | -4.9 | 0.8 | 0.8 | 0.3 | -0.1 | 1 | -0.6 | 1 | 0.2 | -14.1 |
| 2021 | 0.4 | 1.2 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
